I found the answer to this one for IE only here:
http://www.iishacks.com/2009/03/12/using-the-ie-content-advisor-to-block-all-internet-access/
Copy the following text into Notepad and save it as “noaccess.rat” in the Windows\system32 directory (or another directory of your choice). Be sure that the file extension is .rat and not .txt. You can download a zip file containing noaccess.rat here.
((PICS-version 1.0)
(rating-system “http://www.microsoft.com”)
(rating-service “http://www.microsoft.com”)
(name “Noaccess”)
(description “This file will block all sites.”)
(category
(transmit-as “m”)
(name “Yes”)
(label
(name “Level 0: No Setting”)
(description “No Setting”)
(value 0))
(label
(name “Level 1: No Setting”)
(description “No Setting”)
(value 1))))
In the “Control Panel” double-click on “Internet Options” and click on the “Content” tab. If in Internet Explorer, click on “Tools” and “Internet Options” and click on the “Content” tab.
Click “Enable.”
Inside the “General” tab click on “Rating System.”
Remove all entries and click “Add.” Add “noaccess.rat” from the Windows\system32 directory.

Click on the “Approved Sites” tab and add all the websites you wish to allow access to.

Also, remember to tick off the box on Content Advisor -> General -> "Users can see websites that have no rating." Obviously other browsers will ignore these settings, but in my case I did use Parental Controls to avoid this.